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Anticipating correlations: A new paradigm for risk management

Engle, Robert

1, 2009

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Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns

Journal of financial econometrics, 2006-10, Vol.4 (4), p.537-572

2006

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A multiple indicators model for volatility using intra-daily data

Journal of econometrics, 2006-03, Vol.131 (1), p.3-27

2006

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The Econometrics of Ultra-high-frequency Data

Econometrica, 2000-01, Vol.68 (1), p.1-22

Engle, Robert F.

2000

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Seasonal integration and cointegration

Journal of econometrics, 1990-04, Vol.44 (1), p.215-238

1990

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Time-Varying Arrival Rates of Informed and Uninformed Trades

Journal of financial econometrics, 2008-04, Vol.6 (2), p.171-207

2008

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Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data

Econometrica, 1998-09, Vol.66 (5), p.1127-1162

1998

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Common Trends and Common Cycles

Journal of applied econometrics (Chichester, England), 1993-10, Vol.8 (4), p.341-360

1993

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The econometrics of macroeconomics, finance, and the interface

Journal of econometrics, 2006-03, Vol.131 (1), p.1-2

2006

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A component model for dynamic correlations

Journal of econometrics, 2011-09, Vol.164 (1), p.45-59

2011

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The intertemporal capital asset pricing model with dynamic conditional correlations

Journal of monetary economics, 2010-05, Vol.57 (4), p.377-390

2010

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Long-Term Skewness and Systemic Risk

Journal of financial econometrics, 2011-07, Vol.9 (3), p.437-468

Engle, Robert F.

2011

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Forecasting intraday volatility in the US equity market. Multiplicative component GARCH

Journal of financial econometrics, 2012, Vol.10 (1), p.54-83

2012

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CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles

Journal of business & economic statistics, 2004-10, Vol.22 (4), p.367-381

2004

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Hourly volatility spillovers between international equity markets

Journal of international money and finance, 1994-02, Vol.13 (1), p.3-25

1994

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Implied ARCH models from options prices

Journal of econometrics, 1992-04, Vol.52 (1), p.289-311

1992

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Forecasting and testing in co-integrated systems

Journal of econometrics, 1987-05, Vol.35 (1), p.143-159

1987

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Testing superexogeneity and invariance in regression models

Journal of econometrics, 1993-03, Vol.56 (1), p.119-139

1993

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Time and the Price Impact of a Trade

The Journal of finance (New York), 2000-12, Vol.55 (6), p.2467-2498

2000

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Common Persistence in Conditional Variances

Econometrica, 1993-01, Vol.61 (1), p.167-186

1993

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Empirical pricing kernels

Journal of financial economics, 2002-06, Vol.64 (3), p.341-372

2002

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A multi-dynamic-factor model for stock returns

Journal of econometrics, 1992-04, Vol.52 (1), p.245-266

1992

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A long-run Pure Variance Common Features model for the common volatilities of the Dow Jones

Journal of econometrics, 2006-05, Vol.132 (1), p.7-42

2006

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Seasonal cointegration: The Japanese consumption function

Journal of econometrics, 1993-01, Vol.55 (1-2), p.275-275

1993

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Measuring risk aversion from excess returns on a stock index

Journal of econometrics, 1992-04, Vol.52 (1), p.201-224

1992

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Anticipating correlations: A new paradigm for risk management

Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns

A multiple indicators model for volatility using intra-daily data

The Econometrics of Ultra-high-frequency Data

Seasonal integration and cointegration

Time-Varying Arrival Rates of Informed and Uninformed Trades

Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data

Common Trends and Common Cycles

The econometrics of macroeconomics, finance, and the interface

A component model for dynamic correlations

The intertemporal capital asset pricing model with dynamic conditional correlations

Long-Term Skewness and Systemic Risk

Forecasting intraday volatility in the US equity market. Multiplicative component GARCH

CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles

Hourly volatility spillovers between international equity markets

Implied ARCH models from options prices

Forecasting and testing in co-integrated systems

Testing superexogeneity and invariance in regression models

Time and the Price Impact of a Trade

Common Persistence in Conditional Variances

Empirical pricing kernels

A multi-dynamic-factor model for stock returns

A long-run Pure Variance Common Features model for the common volatilities of the Dow Jones

Seasonal cointegration: The Japanese consumption function

Measuring risk aversion from excess returns on a stock index

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